Option pricing and implied volatilities in a 2-hypergeometric stochastic volatility model

Option pricing and implied volatilities in a 2-hypergeometric stochastic volatility model

We derive closed-form analytical approximations in terms of series expansions for option prices and implied volatilities in a 2-hypergeometric stochastic volatility model with correlated Brownian motions. As in Han et al. (2013), these expansions allow us to recover the well-known skew and smile phe...

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Main Authors: Privault, Nicolas, She, Qihao
Other Authors: School of Physical and Mathematical Sciences
Format: Article
Language:English
Published: 2017
Subjects:
2-hypergeometric model
Stochastic volatility
Online Access:https://hdl.handle.net/10356/83341
http://hdl.handle.net/10220/42542
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Institution: Nanyang Technological University
Language: English
id sg-ntu-dr.10356-83341
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spelling sg-ntu-dr.10356-833412023-02-28T19:32:38Z Option pricing and implied volatilities in a 2-hypergeometric stochastic volatility model Privault, Nicolas She, Qihao School of Physical and Mathematical Sciences 2-hypergeometric model Stochastic volatility We derive closed-form analytical approximations in terms of series expansions for option prices and implied volatilities in a 2-hypergeometric stochastic volatility model with correlated Brownian motions. As in Han et al. (2013), these expansions allow us to recover the well-known skew and smile phenomena on implied volatility surfaces, depending on the values of the correlation parameter. MOE (Min. of Education, S’pore) Accepted version 2017-05-31T08:39:45Z 2019-12-06T15:20:20Z 2017-05-31T08:39:45Z 2019-12-06T15:20:20Z 2015 Journal Article Privault, N., & She, Q. (2015). Option pricing and implied volatilities in a 2-hypergeometric stochastic volatility model. Applied Mathematics Letters, 53, 77-84. 0893-9659 https://hdl.handle.net/10356/83341 http://hdl.handle.net/10220/42542 10.1016/j.aml.2015.09.008 en Applied Mathematics Letters © 2015 Elsevier Ltd. This is the author created version of a work that has been peer reviewed and accepted for publication by Applied Mathematics Letters, Elsevier. It incorporates referee’s comments but changes resulting from the publishing process, such as copyediting, structural formatting, may not be reflected in this document. The published version is available at: [http://dx.doi.org/10.1016/j.aml.2015.09.008]. 11 p. application/pdf
institution Nanyang Technological University
building NTU Library
continent Asia
country Singapore
Singapore
content_provider NTU Library
collection DR-NTU
language English
topic 2-hypergeometric model
Stochastic volatility
spellingShingle 2-hypergeometric model
Stochastic volatility
Privault, Nicolas
She, Qihao
Option pricing and implied volatilities in a 2-hypergeometric stochastic volatility model
description We derive closed-form analytical approximations in terms of series expansions for option prices and implied volatilities in a 2-hypergeometric stochastic volatility model with correlated Brownian motions. As in Han et al. (2013), these expansions allow us to recover the well-known skew and smile phenomena on implied volatility surfaces, depending on the values of the correlation parameter.
author2 School of Physical and Mathematical Sciences
author_facet School of Physical and Mathematical Sciences
Privault, Nicolas
She, Qihao
format Article
author Privault, Nicolas
She, Qihao
author_sort Privault, Nicolas
title Option pricing and implied volatilities in a 2-hypergeometric stochastic volatility model
title_short Option pricing and implied volatilities in a 2-hypergeometric stochastic volatility model
title_full Option pricing and implied volatilities in a 2-hypergeometric stochastic volatility model
title_fullStr Option pricing and implied volatilities in a 2-hypergeometric stochastic volatility model
title_full_unstemmed Option pricing and implied volatilities in a 2-hypergeometric stochastic volatility model
title_sort option pricing and implied volatilities in a 2-hypergeometric stochastic volatility model
publishDate 2017
url https://hdl.handle.net/10356/83341
http://hdl.handle.net/10220/42542
_version_ 1759853871575859200

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